Related papers: On classical solutions and canonical transformatio…
We extend the classical Landesman-Lazer results to the setting of second order Hamilton-Jacobi-Bellman equations. A number of new phenomena appear.
The paper concerns the infinite dimensional Hamilton-Jacobi-Bellman equation related to optimal control problem regulated by a transport equation with boundary control. A suitable viscosity solution approach is needed in view of the…
Using the methods of symplectic geometry, we establish the existence of a canonical transformation from potential model Hamiltonians of standard form in a Euclidean space to an equivalent geometrical form on a manifold, where the…
We study the existence and the properties of solutions to the Dirichlet problem for uniformly elliptic second-order Hamilton-Jacobi-Bellman operators, depending on the principal eigenvalues of the operator.
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
This paper is about operator-theoretic methods for solving nonlinear stochastic optimal control problems to global optimality. These methods leverage on the convex duality between optimally controlled diffusion processes and…
We investigate the long time behavior of weakly dissipative semilinear Hamilton-Jacobi-Bellman (HJB) equations and the turnpike property for the corresponding stochastic control problems. To this aim, we develop a probabilistic approach…
The Hamilton-Jacobi-Bellman equation arising from the optimal portfolio selection problem is studied by means of the maximal monotone operator method. The existence and uniqueness of a solution to the Cauchy problem for the nonlinear…
We prove that the viscosity solution to a Hamilton-Jacobi equation with a smooth convex Hamiltonian of the form $H(x,p)$ is differentiable with respect to the initial condition. Moreover, the directional G\^ateaux derivatives can be…
In this paper, we review the discrete Hamilton--Jacobi theory from a geometric point of view. In the discrete realm, the usual geometric interpretation of the Hamilton--Jacobi theory in terms of vector fields is not straightforward. Here,…
We study the well-posedness of Hamilton-Jacobi-Bellman equations on subsets of $\mathbb{R}^d$ in a context without boundary conditions. The Hamiltonian is given as the supremum over two parts: an internal Hamiltonian depending on an…
The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems. This HJB equation is a first order nonlinear partial differential equation defined…
We study PDE of the form $\max\{F(D^2u,x)-f(x), H(Du)\}=0$ where $F$ is uniformly elliptic and convex in its first argument, $H$ is convex, $f$ is a given function and $u$ is the unknown. These equations are derived from dynamic programming…
We study an optimal control problem in Bolza form and we consider the value function associated to this problem. We prove two verification theorems which ensure that, if a function $W$ satisfies some suitable weak continuity assumptions and…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
In this paper we provide a rate of convergence for periodic homogenization of Hamilton-Jacobi-Bellman equations with nonlocal diffusion. The result is based on the regularity of the associated effective problem, where the convexity plays a…
We prove differentiability of the effective Lagrangian for continuous time multidimensional directed variational problems in random dynamic environments with positive dependence range in time. This implies that limiting fundamental…
We study nonlocal first-order equations arising in the theory of dislocations. We prove the existence and uniqueness of the solutions of these equations in the case of positive and negative velocities, under suitable regularity assumptions…
Most elementary numerical schemes found useful for solving classical trajectory problems are {\it canonical transformations}. This fact should be make more widely known among teachers of computational physics and Hamiltonian mechanics. From…
Here, we study the selection problem for the vanishing discount approximation of non-convex, first-order Hamilton-Jacobi equations. While the selection problem is well understood for convex Hamiltonians, the selection problem for non-convex…